Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0013 |
| Annualized Std Dev | 0.1390 |
| Annualized Sharpe (Rf=0%) | -0.0095 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1001 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1297 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0088 |
| Skewness | -0.1877 |
| Kurtosis | 20.6667 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0065 |
| Loss Deviation | 0.0071 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0063 |
| Downside Deviation (0%) | 0.0063 |
| Maximum Drawdown | 0.3907 |
| Historical VaR (95%) | -0.0126 |
| Historical ES (95%) | -0.0209 |
| Modified VaR (95%) | -0.0112 |
| Modified ES (95%) | -0.0112 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-01-29 | 2008-10-10 | 2010-07-16 | -0.3907 | 2884 | 2441 | 443 |
| 2012-09-05 | 2020-03-20 | NA | -0.3071 | 2149 | 1897 | NA |
| 2010-08-18 | 2011-04-15 | 2011-12-02 | -0.1534 | 328 | 168 | 160 |
| 2011-12-28 | 2012-01-19 | 2012-07-02 | -0.1186 | 129 | 15 | 114 |
| 2012-07-09 | 2012-07-24 | 2012-08-29 | -0.0488 | 38 | 12 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.6 | -0.6 | -1.3 | -0.3 | 0.4 | 0.7 | -0.7 | -0.4 | -0.4 | -0.8 | -0.4 | -0.4 | -3.5 |
| 2000 | 0.8 | 0.8 | 0.4 | 0.8 | 2 | 0.4 | 0.4 | 0 | -0.7 | 0.4 | 0.4 | -0.7 | 4.8 |
| 2001 | 1.7 | 0.9 | -0.2 | -0.5 | 0.7 | -0.5 | 1.2 | 0.1 | 1 | 0.4 | -0.7 | 0.2 | 4.2 |
| 2002 | 0.4 | 0.3 | 2.6 | 0.4 | -0.6 | 0.1 | -0.7 | -0.3 | -0.4 | 0.1 | -0.6 | 0.5 | 1.7 |
| 2003 | 0 | 0.3 | 1.8 | 0 | -0.2 | 0.7 | -2.4 | -0.4 | 1 | 0.9 | 0.1 | -0.2 | 1.5 |
| 2004 | 0.4 | 0.3 | 0.9 | -0.1 | 0 | -0.2 | 1.4 | 1.2 | -0.2 | 0.6 | -0.9 | 0.2 | 3.8 |
| 2005 | -0.4 | -0.2 | 0.8 | 0.9 | -0.1 | 0.3 | -0.5 | 0.8 | 0.5 | -0.1 | 0.3 | -0.2 | 2.2 |
| 2006 | 0.1 | 0.9 | -0.4 | -1.6 | 0.2 | 1.2 | -0.6 | 0.8 | 0.7 | 0.1 | 0.3 | -0.4 | 1.2 |
| 2007 | 0.3 | -0.1 | 0.2 | -0.2 | 0.1 | 0.2 | 0.7 | 0.6 | 0.9 | -0.5 | 0.2 | 0.5 | 2.9 |
| 2008 | -0.1 | -0.2 | 0.3 | -0.2 | -0.4 | -0.3 | 0.5 | 0.7 | 6.2 | 3.2 | 2.6 | -3 | 9.3 |
| 2009 | -1 | -1.9 | 0.2 | 2.6 | -5.8 | -0.1 | 1 | 0.8 | 0.5 | 0.2 | 1.6 | -0.5 | -2.7 |
| 2010 | 1.4 | 1.9 | 0.1 | 0.2 | 2 | 1 | 0.2 | -0.2 | -1.7 | -0.4 | -0.2 | 0.3 | 4.7 |
| 2011 | 0.6 | 0 | -0.1 | 0.3 | -0.6 | -0.3 | 0.6 | -0.4 | -1.1 | 0.4 | -0.4 | 1 | 0.2 |
| 2012 | 0.2 | 1.2 | -0.6 | 0.1 | 0 | 1 | 0 | -0.2 | 0.1 | 0.5 | 0.8 | 1.7 | 5.1 |
| 2013 | 1.6 | -0.2 | 0.2 | 0.3 | -0.5 | -0.7 | -0.7 | 0.2 | 0.3 | 0.6 | 0 | -0.3 | 0.8 |
| 2014 | -0.1 | -0.3 | 0.2 | 0.1 | -0.1 | -0.9 | 0.1 | -1.1 | 0.4 | 0.1 | 0 | 1.2 | -0.5 |
| 2015 | -0.3 | -0.1 | 0 | -0.1 | -0.8 | -0.1 | 0.1 | 0.6 | 1.1 | -0.1 | 1.3 | 0.2 | 1.7 |
| 2016 | 0.1 | 0.6 | -0.1 | 0.7 | 0.1 | 0.1 | 0 | 0.1 | -0.1 | -0.3 | -0.9 | 0.5 | 0.8 |
| 2017 | -0.3 | -1.1 | 0.1 | -0.2 | 0.1 | -0.3 | -0.1 | -0.1 | -0.4 | -0.1 | 0.2 | 0.2 | -2.1 |
| 2018 | -0.2 | -0.2 | 0.4 | 0.2 | -0.2 | 0.6 | 0.3 | -0.9 | 0.5 | 1 | 0.4 | 0.1 | 2 |
| 2019 | 0.2 | -0.2 | -0.4 | 0.1 | 0.9 | 2.4 | 0.6 | 0.1 | -0.4 | -0.1 | -0.3 | 1.6 | 4.4 |
| 2020 | -0.2 | -2.5 | -2.1 | -0.8 | 0.8 | 0.6 | -0.3 | 0.3 | 0 | -1 | 0.4 | 2.9 | -1.9 |
| 2021 | 0.3 | 1.1 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
